Numerical Stability of First Order Weak schemes for Storatonovich Stochastic Differential Equations
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- Saito Yoshihiro
- Faculty of Economics and Information, Gifu Shotoku Gakuen University
Bibliographic Information
- Other Title
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- ストラトノヴィチ型確率微分方程式に対する弱い1次スキームの数値的安定性
- ストラトノヴィチガタ カクリツ ビブン ホウテイシキ ニ タイスル ヨワイ 1ジ スキーム ノ スウチテキ アンテイセイ
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Abstract
The numerical stability of first order weak schemes for the Stratonovich stochastic differential equations is discussed. We show that the Milstein and the Platen schemes have weak order 1. In this paper we study mean-square and asymptotic stability of Milstein and optimal Platen simplified schemes with a two point and uniformly distributed random variable which has similar moment properties to the normal random variable.
Journal
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- Transactions of the Japan Society for Industrial and Applied Mathematics
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Transactions of the Japan Society for Industrial and Applied Mathematics 22 (3), 109-116, 2012
The Japan Society for Industrial and Applied Mathematics
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Details 詳細情報について
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- CRID
- 1390282680744004224
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- NII Article ID
- 110009518455
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- NII Book ID
- AN10367166
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- ISSN
- 09172246
- 24240982
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- NDL BIB ID
- 024018543
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- Text Lang
- ja
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- Data Source
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- JaLC
- NDL
- CiNii Articles
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- Abstract License Flag
- Disallowed
